Compute riskadjusted alphas and returns for one or more assets
portalpha(Asset,Benchmark) portalpha(Asset,Benchmark,Cash) portalpha(Asset,Benchmark,Cash,Choice) Alpha = portalpha(Asset,Benchmark,Cash,Choice) [Alpha,RAReturn] = portalpha(Asset,Benchmark,Cash,Choice)

 

 
 (Optional) Either a scalar return for a riskless asset
or a vector of asset returns to be a proxy for a “riskless”
asset. In either case, the periodicity must be the same as the periodicity
of  
 (Optional) A character vector, or cell array of character vectors to indicate one or
more measures to be computed from among various riskadjusted
alphas and return measures. The number of choices selected in
Multiple choices can be selected with a
cell array of character vectors for choice codes (for example,
to select both GrahamHarvey measures, 
Given NUMSERIES
assets with NUMSAMPLES
returns
in a NUMSAMPLES
byNUMSERIES
matrix Asset
,
a NUMSAMPLES
vector of Benchmark
returns,
and either a scalar Cash
return or a NUMSAMPLES
vector
of Cash
returns, compute riskadjusted alphas and
returns for one or more methods specified by Choice
.
To summarize the outputs of portalpha
:
Alpha
is a NUMCHOICES
byNUMSERIES
matrix
of riskadjusted alphas for each series in Asset
with
each row corresponding to a specified measure in Choice
.
RAReturn
is a NUMCHOICES
byNUMSERIES
matrix
of riskadjusted returns for each series in Asset
with
each row corresponding to a specified measure in Choice
.
NaN
values in the data are ignored and, if NaN
s
are present, some results could be unpredictable. Although the alphas
are comparable across measures, riskadjusted returns depend on whether
the Asset
or Benchmark
is levered
or unlevered to match its risk with the alternative. If Choice
= 'all'
,
the order of rows in Alpha
and RAReturn
follows
the order in the table. In addition, Choice
= 'all'
overrides
all other choices.
See RiskAdjusted Return.
John Lintner. "The Valuation of Risk Assets and the Selection of Risky Investments in Stocks Portfolios and Capital Budgets." Review of Economics and Statistics. Vol. 47, No. 1, February 1965, pp. 13–37.
John R. Graham and Campbell R. Harvey. "Market Timing Ability and Volatility Implied in Investment Newsletters' Asset Allocation Recommendations." Journal of Financial Economics. Vol. 42, 1996, pp. 397–421.
Franco Modigliani and Leah Modigliani. "RiskAdjusted Performance: How to Measure It and Why." Journal of Portfolio Management. Vol. 23, No. 2, Winter 1997, pp. 45–54.
Jan Mossin. "Equilibrium in a Capital Asset Market." Econometrica. Vol. 34, No. 4, October 1966, pp. 768–783.
William F. Sharpe. "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk." Journal of Finance. Vol. 19, No. 3, September 1964, pp. 425–442.